[ skip to content ]

The evolution of stock market predictability in Bulgaria

Dyakova, Aneta and Smith, Graham (2013) 'The evolution of stock market predictability in Bulgaria.' Applied Financial Economics, 23 (9). pp. 805-816.

Full text not available from this repository.

Abstract

The martingale hypothesis is tested for two Bulgarian stock price indices and eight stock prices using finite-sample variance ratio tests in a rolling window. The data cover the period beginning in October 2000 and ending in August 2012 and are corrected to remove the effects of infrequent trading. The rolling window captures short-lived predictability and tracks the evolution of stock market predictability. There are successive periods when returns are predictable and then not predictable. This is consistent with the adaptive markets hypothesis, not the efficient markets hypothesis. Overall, returns are more predictable in times of crisis.

Item Type: Articles
Keywords: Adaptive markets hypothesis, Bulgarian stock market, martingale, predictability, variance ratio test, weak-form efficiency
SOAS Departments & Centres: Faculty of Law and Social Sciences > Department of Economics
Subjects: H Social Sciences > HG Finance
ISSN: 09603107
DOI (Digital Object Identifier): 10.1080/09603107.2013.767976
Depositing User: Graham Smith
Date Deposited: 15 Jul 2013 08:58
URI: http://eprints.soas.ac.uk/id/eprint/16717

Statistics

Download activity - last 12 months
Downloads since deposit
0Downloads
132Hits
Accesses by country - last 12 months
Accesses by referrer - last 12 months

Research Mentions and Reach

Additional statistics for this record are available via IRStats2

Repository staff only

Edit Item Edit Item